Analysis of momentum strategy performance in the Brazilian stock market

• Autor(a) principal: Piccoli, Renan Madaschi
• Data de Publicação: 2023
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/149463
• topic: Momentum investment strategies; Backtesting; Brazilian stock market; Domínio/Área Científica: Ciências Sociais: Economia e Gestão

Market anomalies are empirical findings that contradict established asset-pricing theories and/or efficient capital market hypotheses. Momentum is a market anomaly which has been researched widely for several securities and for almost three decades now. Quantitative trading has seen an increase in use in the recent past due to the growth in computational capacity and information availability. Quantitative trading and momentum trading strategies have been researched with positive results in wide variety of markets. This thesis aims to test a momentum strategy in the Brazilian stock market to verify the presence of the momentum anomaly as well as possibility to use it to obtain abnormal returns. In order to test the momentum trading strategy, a database containing all traded stock ranging from 2006 to 2021 was used to perform a back test of the trading strategy using different parameters and obtain the returns, volatility and Sharpe ratio. Despite showing large losses during crashes in the market, the cumulative return shows higher returns than the risk-free rate (CDI rate) and the main Brazilian stock market index (IBOV index).